Publication Date:
2019
Description:
〈p〉Publication date: October 2019〈/p〉
〈p〉〈b〉Source:〈/b〉 Energy Policy, Volume 133〈/p〉
〈p〉Author(s): Evangelos Kyritsis, Jonas Andersson〈/p〉
〈div xml:lang="en"〉
〈h5〉Abstract〈/h5〉
〈div〉〈p〉In this article we investigate the dynamic relations between crude oil price returns and a set of energy price returns, namely diesel, gasoline, heating, and the natural gas. This is performed by means of Granger non-causality tests for US closing spot prices over the period from January 1997 to December 2017. In previous studies this has been done by testing for the added predictive value of including lagged returns of one energy price in predicting the conditional expectation of another. In this paper we instead focus on different ranges of the full conditional distribution, and thus market states, within the framework of a dynamic quantile regression model, and identify the quantile ranges from which causality arises. The results constitute a richer set of findings than what is possible by just considering a single moment of the conditional distribution, which can be useful for implementing better substitution investment strategies and effective policy interventions. We find several interesting uni-directional dynamic relations between the employed energy price returns, especially in the tail quantiles, but also bi-directional causal relations between energy price returns for which the classical Granger non-causality test suggests otherwise. Our results are robust to alternative measures of the price of oil and different data frequencies.〈/p〉〈/div〉
〈/div〉
Print ISSN:
0301-4215
Electronic ISSN:
1873-6777
Topics:
Energy, Environment Protection, Nuclear Power Engineering
,
Political Science
